Portfolio Performance Report - 80d Window
24 Dec, 1998 - 23 Feb, 2024

Generated by QuantStats (v. 0.0.77)

Key Performance Metrics

Metric	EQW	^DJI	SPY	MV (80d)	BL (80d)
Risk-Free Rate	0.0%	0.0%	0.0%	0.0%	0.0%
Time in Market	100.0%	100.0%	100.0%	93.0%	99.0%

Cumulative Return	703.05%	325.25%	545.36%	240.37%	717.25%
CAGR﹪	8.65%	5.93%	7.7%	5.0%	8.72%

Sharpe	0.54	0.4	0.48	0.36	0.59
Prob. Sharpe Ratio	99.65%	97.82%	99.16%	96.54%	99.84%
Smart Sharpe	0.5	0.38	0.44	0.34	0.55
Sortino	0.76	0.57	0.68	0.51	0.83
Smart Sortino	0.71	0.53	0.63	0.47	0.78
Sortino/√2	0.54	0.4	0.48	0.36	0.59
Smart Sortino/√2	0.5	0.37	0.44	0.33	0.55
Omega	1.11	1.08	1.09	1.07	1.12

Max Drawdown	-52.53%	-53.78%	-55.19%	-42.83%	-46.4%
Max DD Date	2009-03-09	2009-03-09	2009-03-09	2003-03-12	2009-03-09
Max DD Period Start	2007-10-15	2007-10-10	2007-10-10	2000-03-28	2007-12-11
Max DD Period End	2011-02-15	2013-03-04	2012-08-15	2007-03-23	2011-02-16
Longest DD Days	1233	2450	2404	2552	1269
Volatility (ann.)	18.49%	18.54%	19.52%	17.7%	16.34%
Calmar	0.16	0.11	0.14	0.12	0.19
Skew	-0.23	-0.11	-0.01	-0.34	-0.29
Kurtosis	11.25	12.25	11.16	11.28	13.63

Expected Daily	0.03%	0.02%	0.03%	0.02%	0.03%
Expected Monthly	0.69%	0.48%	0.62%	0.41%	0.7%
Expected Yearly	8.02%	5.51%	7.15%	4.64%	8.09%
Kelly Criterion	-	-	-	-	-
Risk of Ruin	-	-	-	-	-
Daily Value-at-Risk	-1.88%	-1.89%	-1.99%	-1.81%	-1.66%
Expected Shortfall (cVaR)	-3.35%	-3.35%	-3.35%	-3.35%	-3.35%

Max Consecutive Wins	-	-	-	-	-
Max Consecutive Losses	-	-	-	-	-
Gain/Pain Ratio	-	-	-	-	-
Gain/Pain (1M)	-	-	-	-	-

Payoff Ratio	-	-	-	-	-
Profit Factor	1.11	1.08	1.09	1.07	1.12
Common Sense Ratio	-	-	-	-	-
CPC Index	-	-	-	-	-
Tail Ratio	0.96	0.96	0.92	0.93	0.96
Outlier Win Ratio	4.04	3.99	3.82	4.48	4.66
Outlier Loss Ratio	3.89	3.97	3.67	3.79	4.35

MTD	4.06%	2.57%	5.17%	3.57%	3.44%
3M	9.22%	10.94%	12.06%	9.1%	10.37%
6M	11.55%	14.12%	16.79%	6.06%	12.34%
YTD	3.77%	3.83%	6.85%	4.42%	5.17%
1Y	17.82%	18.42%	29.36%	22.95%	14.32%
3Y (ann.)	9.62%	6.31%	10.76%	9.29%	9.49%
5Y (ann.)	12.6%	9.1%	14.72%	10.87%	13.78%
10Y (ann.)	10.92%	9.29%	12.72%	6.83%	12.04%
All-time (ann.)	8.65%	5.93%	7.7%	5.0%	8.72%

Best Day	11.19%	11.37%	14.52%	11.73%	9.67%
Worst Day	-11.95%	-12.93%	-10.94%	-13.81%	-12.57%
Best Month	13.04%	13.95%	12.7%	15.19%	12.42%
Worst Month	-16.39%	-14.06%	-16.52%	-14.69%	-13.9%
Best Year	30.86%	26.5%	32.31%	30.98%	33.01%
Worst Year	-34.26%	-33.84%	-36.79%	-21.88%	-29.88%

Avg. Drawdown	-2.22%	-2.3%	-2.03%	-3.81%	-1.95%
Avg. Drawdown Days	28	45	32	73	26
Recovery Factor	-	-	-	-	-
Ulcer Index	0.11	0.14	0.17	0.18	0.11
Serenity Index	0.71	0.43	0.48	0.28	0.62

Avg. Up Month	3.82%	3.54%	3.85%	3.65%	3.57%
Avg. Down Month	-4.25%	-4.37%	-4.47%	-4.08%	-3.66%
Win Days	54.65%	53.14%	54.27%	53.28%	55.07%
Win Month	63.37%	60.73%	62.71%	58.42%	64.43%
Win Quarter	72.55%	64.71%	70.59%	64.0%	73.0%
Win Year	77.78%	66.67%	77.78%	65.38%	76.92%

EOY Returns

Year	EQW	^DJI	SPY	MV (80d)	BL (80d)
1998	1.14	-0.21	0.09	0.00	0.00
1999	16.53	23.80	20.19	22.50	-3.01
2000	3.63	-4.22	-7.41	9.14	16.69
2001	-4.84	-5.12	-10.11	-18.97	-10.66
2002	-16.76	-15.11	-20.83	-17.58	-16.67
2003	26.32	23.95	26.20	24.05	23.60
2004	13.88	3.69	10.78	9.27	14.58
2005	8.13	-0.08	5.25	0.65	5.98
2006	15.60	15.58	15.21	11.80	13.92
2007	10.41	7.29	6.28	13.91	11.58
2008	-34.59	-34.13	-37.36	-21.53	-30.91
2009	29.39	20.17	26.93	3.56	22.50
2010	16.55	11.76	15.63	-1.39	15.24
2011	5.72	7.59	4.53	22.48	7.19
2012	14.42	7.69	15.64	-1.82	17.03
2013	27.51	24.03	28.62	23.32	29.14
2014	13.12	7.84	13.27	9.98	15.74
2015	0.18	-1.07	2.41	-14.84	2.45
2016	13.25	13.38	12.18	11.33	14.43
2017	17.07	22.61	19.88	12.29	16.59
2018	-5.74	-4.20	-3.23	-1.45	-5.87
2019	25.63	20.94	27.97	11.34	25.01
2020	16.52	13.82	22.47	9.51	23.80
2021	26.88	17.94	26.11	28.09	27.07
2022	-8.85	-7.24	-17.13	-1.14	-5.01
2023	16.52	13.49	24.11	13.01	8.23
2024	3.78	3.81	6.73	4.46	5.11

Worst 10 Drawdowns

EQW

Started	Recovered	Drawdown	Days
2007-10-15	2011-02-15	-52.53	1220
2020-02-20	2020-11-06	-36.34	261
2001-05-22	2004-10-05	-36.27	1233
2022-03-30	2023-07-21	-19.19	479
2011-07-08	2012-02-02	-18.61	210
2018-09-24	2019-04-03	-17.70	192
2001-02-02	2001-05-15	-13.71	103
2000-01-11	2000-03-31	-13.70	81
2015-05-22	2016-04-15	-13.06	330
1999-07-19	2000-01-07	-11.32	173

^DJI

Started	Recovered	Drawdown	Days
2007-10-10	2013-03-04	-53.78	1973
2000-01-18	2006-10-02	-37.85	2450
2020-02-13	2020-11-13	-37.09	275
2022-01-05	2023-12-12	-21.94	707
2018-10-04	2019-07-02	-18.77	272
2015-05-20	2016-07-11	-14.48	419
2018-01-29	2018-09-19	-11.58	234
1999-08-26	1999-12-22	-11.53	119
2007-07-20	2007-09-28	-8.25	71
2014-01-02	2014-04-29	-7.26	118

SPY

Started	Recovered	Drawdown	Days
2007-10-10	2012-08-15	-55.19	1772
2000-03-27	2006-10-25	-47.52	2404
2020-02-20	2020-08-07	-33.72	170
2022-01-04	2023-12-12	-24.50	708
2018-09-21	2019-04-11	-19.35	203
2015-07-21	2016-04-15	-13.02	270
1999-07-19	1999-11-16	-11.70	121
2018-01-29	2018-08-03	-10.10	187
2020-09-03	2020-11-10	-9.44	69
2000-01-20	2000-03-16	-9.30	57

MV (80d)

Started	Recovered	Drawdown	Days
2000-03-28	2007-03-23	-42.83	2552
2008-05-21	2013-11-14	-40.58	2004
2022-06-08	2024-02-23	-31.17	626
2020-02-20	2020-09-01	-29.95	195
2015-01-23	2017-05-23	-22.26	852
2007-11-01	2008-05-15	-18.88	197
2018-10-03	2019-09-25	-13.24	358
1999-07-19	1999-11-09	-12.25	114
2000-01-04	2000-03-01	-11.13	58
2007-07-20	2007-09-26	-10.24	69

BL (80d)

Started	Recovered	Drawdown	Days
2007-12-11	2011-02-16	-46.40	1164
2001-05-22	2004-11-10	-37.32	1269
2020-02-18	2020-08-06	-34.44	171
2022-04-21	2024-02-23	-20.37	674
1999-07-19	2000-08-11	-19.19	390
2011-07-08	2012-02-16	-16.74	224
2018-09-21	2019-03-25	-14.87	186
2000-12-29	2001-05-15	-13.00	138
2015-07-17	2016-03-16	-10.98	244
2018-01-29	2018-08-16	-9.22	200